I am trying to filter for all transactions that have triggered a specific rule. Do I have to use the "applied rule" sub-filter? I am trying to filter for all transactions that have triggered "User's user_address_hash".

There are multiple ways to do this, one would be the method you mentioned: going to the Transactions page and selecting the required Applied rule filter.

Another way of achieving the same results is going to the Scoring Engine's Dashboard and clicking the Filter transactions button next to the rule you wish to search for, in the Applied rule statistics section.

You can also do it by filtering for the street name + address and city and then the results will the same, since the user_address_hash is made up of these three data fields.